Creating a new rocket or bullet (shells)
Shell is a bullet or rocket prefab, which will be used as a unit shooting object if units have the Attack Type value set to Shell.
You can clone an existing asset from the Prefabs/Shells folder and customize it as you want. A shell prefab is purely visual (mesh/particles) - it does not need a script, Collider or Rigidbody on it, since hit detection is done in code, not through physics. See Shell if you want to know how this works under the hood.
All the actual behaviour - damage value, fly speed, bullet lifetime, hit FX, splash damage, artillery (parabolic) trajectory, hit check radius, etc - is not set up on the prefab itself. It comes from the shooting unit’s UnitData, in the Attack Parameters partition, once Attack Type is set to Shell (this is the ShellAttackData class). That’s also where you assign your customized prefab, in the Shell Prefab field: